Sanding after skimcoating is the only way. Some drywallers are very good at laying down the skimcoat so that there is minimal sanding, but there is always some required. Over sanding is something that bad drywallers and painters do...usually it is not an issue.

You wet-sponge off the new drywall after sanding. It gets rid of the surface dust, and can lay down the paper fibers that were raised by over-sanding.
I use a big drywall sponge, and rinse frequently. You can use a sponge mop, too.
Casey